[samibe]

I would like something like this too. Maybe it could be an option below the "Load All" button to "Resume From Last Position". A little indicator of what page of which song was last viewed in the setlist would be helpful too.
 
Personally, I would like to be able to resume any setlist from the last song position because I use setlists for practice (repertoire, sight-reading, exercises, etc.) and performance (and some the setlists can be hundreds of songs long). I often switch between several setlists during the same practice session and occasionally during performances.